I have been ATG from the get go, I can't stand not being completely slick after a shave!
You don't feel bald until you have tried shaving against the grain Paul. Don't worry, your scalp will toughen up in due time.
I go against the grain and then finish off by going diagonally across the grain (for example: right front to left rear on the top of my head). It's unorthodox, but it assures virtually no missed spots and a very smooth dome.